There are a number of Lego Pneumatic sets with airtight tubes, valves and switches which could be put into use with fluids. One is 9641, Pneumatics Add-On Set.
Bear in mind that the pneumatics sets can command a much higer price than those sets with a similar number of parts, and buying individual pieces can also get expensive. Have a look at BrickLink to see what parts are avalible.
There is also a Simple & Powered machines set which comes with sails that could be used as a wind turbine, or a basic pump, but if you wanted to use steam or liquids with Lego you would have to be very careful.
A company called LPE Power has made some very detailed and very powerful pnuematic engines however I doubt they would work with water.